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Schnelle numerische Verfahren zur Bewertung von europäischen Optionen in erweiterten Black-Scholes Marktmodellen
Popovici, Stefan Alex - 2002
Persistent link: https://www.econbiz.de/10001691707
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A numerical PDE approach for pricing callable bonds
D'Halluin, Y. (contributor) - In: Applied mathematical finance 8 (2001) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10001625721
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Robust numerical methods for PDE models of Asian options
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 1 (1997/1998) 2, pp. 39-78
Persistent link: https://www.econbiz.de/10001633255
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Computational finance : numerical methods for pricing financial instruments
Levy, George - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10001783711
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A numerical approach to American currency option valuation
Choi, Seung-mook S.; Marcozzi, Michael D. - In: The journal of derivatives : the official publication … 9 (2001) 2, pp. 19-29
Persistent link: https://www.econbiz.de/10001634680
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First-order schemes in the numerical quantization method
Bally, V.; Pagès, G.; Printems, J. - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001765624
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Small dimension PDE for discrete Asian options
Benhamou, Eric; Duguet, Alexandre - In: Journal of economic dynamics & control 27 (2003) 11/12, pp. 2095-2114
Persistent link: https://www.econbiz.de/10001768895
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Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter A.; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314
Persistent link: https://www.econbiz.de/10001743284
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Derivative securities and difference methods
Zhu, Youlan; Wu, Xiaonan; Chern, I-Liang - 2004
Persistent link: https://www.econbiz.de/10001857156
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Lean Trees : a general approach for improving performance of lattice models for option pricing
Baule, Rainer; Wilkens, Marco - In: Review of derivatives research 7 (2004) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10002012150